i compiled a sample code i found in the tutorial section of my compiler. But i now see that there are more options. In the image i attach, i click the "Assemble ASM File", which i think functioned ok, and then "Run program" ( at the bottom of the menu ) but nothing happened. Should i click to something else from all these options:
?

If you click on the "Build All" option, all needed steps will be performed automatically. All other options are for better control of the compile process, or custom steps (the "Run Makeit.bat" option will literally run a file named "makeit.bat" if there is one in the current folder).

include masm32includewindows.inc ; always first
include masm32macrosmacros.asm ; MASM support macros

; -----------------------------------------------------------------
; include files that have MASM format prototypes for function calls
; -----------------------------------------------------------------
include masm32includemasm32.inc
include masm32includegdi32.inc
include masm32includeuser32.inc
include masm32includekernel32.inc

1) Header files (.inc) are optional (like .h files in C and C++). Take a look at this lines in the source you posted, this instructs MASM to read some .inc files:

include masm32includemasm32.inc
include masm32includegdi32.inc
include masm32includeuser32.inc
include masm32includekernel32.inc

2) For "console mode" and "gui mode" apps the third step (linking) is slightly different, so QuickEditor has different menu items for each one. It's been a while since I used that editor so I forgot about it, sorry :o

I would assume the difference between the normal and console build is the linker commands... "/SUBSYSTEM:WINDOWS" or "/SUBSYSTEM:CONSOLE". The single dword change tells windows whether to create a console for the application or not.

thank you all very mush! :) And personally i find it very helpful when i see the corresponding assembly things in C ( .inc == .h for C, thanks! ) It makes me understand things MUCH easier

But i have one small question.
With "Assemble" you create the .obj from .asm.
With "Link Obj" you create the .exe from the .obj.
With "Assemble and Link" you do the previous things in one step.
Then what "Build all" does??
thanks..